Experiments on portfolio selection: A comparison between quantile preferences and expected utility decision models Revision of JBEE-D-21-00434

2022 ◽  
pp. 101822
Author(s):  
Luciano de Castro ◽  
Antonio F. Galvao ◽  
Jeong Yeol Kim ◽  
Gabriel Montes-Rojas ◽  
Jose Olmo
Keyword(s):  
Portfolio Selection ◽  
Expected Utility ◽  
Decision Models

Experiments on Portfolio Selection: A Comparison between Quantile Preferences and Expected Utility Decision Models

2021 ◽  
Author(s):  
Luciano I. de Castro ◽  
Antonio F. Galvao ◽  
Jeong Yeol Kim ◽  
Gabriel Montes-Rojas ◽  
Jose Olmo
Keyword(s):  
Portfolio Selection ◽  
Expected Utility ◽  
Decision Models

scholarly journals Performance of Portfolios Based on the Expected Utility-Entropy Fund Rating Approach

Entropy ◽  
2021 ◽  
Vol 23 (4) ◽  
pp. 481
Author(s):  
Daniel Chiew ◽  
Judy Qiu ◽  
Sirimon Treepongkaruna ◽  
Jiping Yang ◽  
Chenxiao Shi
Keyword(s):  
Mutual Funds ◽  
Portfolio Selection ◽  
Expected Utility ◽  
Decision Model ◽  
Risky Choice ◽  
Numerical Representation ◽  
Better Than ◽  
The Eu

Yang and Qiu proposed and reframed an expected utility–entropy (EU-E) based decision model. Later on, a similar numerical representation for a risky choice was axiomatically developed by Luce et al. under the condition of segregation. Recently, we established a fund rating approach based on the EU-E decision model and Morningstar ratings. In this paper, we apply the approach to US mutual funds and construct portfolios using the best rating funds. Furthermore, we evaluate the performance of the fund ratings based on the EU-E decision model against Morningstar ratings by examining the performance of the three models in portfolio selection. The conclusions show that portfolios constructed using the ratings based on the EU-E models with moderate tradeoff coefficients perform better than those constructed using Morningstar. The conclusion is robust to different rebalancing intervals.

scholarly journals Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework

2006 ◽  
Vol 36 (02) ◽  
pp. 505-520 ◽  
Author(s):  
Marisa Cenci ◽  
Massimiliano Corradini ◽  
Andrea Gheno
Keyword(s):  
Portfolio Selection ◽  
Expected Utility ◽  
Utility Theory ◽  
Expected Utility Theory ◽  
Distortion Function ◽  
Short Sales ◽  
Optimal Portfolios ◽  
Dynamic Portfolio ◽  
First Time ◽  
Theory Framework

In this paper the dynamic portfolio selection problem is studied for the first time in a dual utility theory framework. The Wang transform is used as distortion function and well diversified optimal portfolios result both with and without short sales allowed.

The Optimization on the Expected Utility Portfolio Selection Model without Short Sales

2011 ◽  
Vol 225-226 ◽  
pp. 1071-1074
Author(s):  
Peng Zhang ◽  
Hui Li Wang
Keyword(s):  
Portfolio Selection ◽  
Expected Utility ◽  
Risk Preference ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Selection Model ◽  
Short Sales ◽  
Expected Return ◽  
Portfolio Selection Model ◽  
Preference Coefficient

A new expected utility (EU) portfolio selection model without short sales is proposed. In the model, the expected utility function is quadratic. The model is solved by the pivoting algorithm. The paper showed in the EU portfolio selection model without the short sales, the relationship between the risk preference coefficient and the expected return is not linear but more complex. The risk preference coefficient could just reflect the investors’ preference in some intervals. We wrote program to calculate the optimal portfolios with the different coefficient. Investors could choose the optimal investment strategy according to both their own risk preference and the expected return of the portfolio.

UNCERTAIN DECISION MAKING AND ITS APPLICATION TO PORTFOLIO SELECTION PROBLEM

2014 ◽  
Vol 22 (01) ◽  
pp. 113-123 ◽  
Author(s):  
KAI YAO ◽  
XIAOYU JI
Keyword(s):  
Decision Making ◽  
Decision Theory ◽  
Utility Function ◽  
Portfolio Selection ◽  
Expected Utility ◽  
Random Variable ◽  
Uncertain Variable ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Objective Uncertainty

In the traditional decision theory, choice with undetermined consequence is usually regarded as random variable, which usually describes objective uncertainty. This paper first considers the human uncertainty in making decisions, and employs uncertain variable to describe the choice. Utility function is also employed in the paper, and expected utility is introduced as a criterion to rank the choices. At last, in order to illustrate the uncertain decision making method, a portfolio selection problem is considered.

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